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PART II: REQUIRED 20-point problem. Given the following information: (all numbers are in millions) Money Market deposit accts. = $26 Fixed rate CD'S = $14
PART II: REQUIRED 20-point problem. Given the following information: (all numbers are in millions) Money Market deposit accts. = $26 Fixed rate CD'S = $14 Treasury notes = $18 Fed Fimds lending = $2 Savings Deposits = $20 Fixed rate mortgage loans = $25 Non-mortgage fixed rate loam $18 Discount loans = $3 Reserves = $4 Other adjustable rate loans $4 Equity Capital = $17 Treasury-bills = $22 Variable rate CD's = $16 Fed Funds borrowing = $1 Transactions deposits = $7 Variable rate mortgage loans = $11 A. Develop a balance sheet from the above data into assets and liabilities with a correct division of rate sensitive and non-rate sensitive as illustrated in class notes and lecture. B. Perform a Standard Gap Analysis and a Duration Analysis using the above data if you have a 1.05% increase in interest rates and an avenge duration of assets of 7.1 years and an average duration of liabilities of 2.9 years. C. Indicate the new level of equity capital. Note: Answers for b & 1: must be in $lcent form. Do not leave them as a decimal form in millions. .._ __-._'.. ._ _.. _--.-- Balance Sheet of All Commercial Banks Assets (Uses of Funds)* Liabilities (Sources of Funds) Balance Sheet of All Commercial Banks (items as a percentage of the total, June 2011 Reserves and cash items 8% Checkable deposits 6% Assets (Uses of Funds)* Liabilities (Sources of Funds) Securities Nontransaction deposits 10 Small-denomination time deposits 10% U.S. government and agency Reserves and cash items 15% Checkable deposits State and local government and (
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